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Rabi N. Bhattacharya
This volume presents some of the most influential papers published by Rabi N. Bhattacharya, along with commentaries from international experts, demonstrating his knowledge, insight, and influence in the field of probability and its applications. For more than three decades, Bhattacharya has made significant contributions in areas ranging from theoretical statistics via analytical probability theory, Markov processes, and random dynamics to applied topics in statistics, economics, and geophysics. Selected reprints of Bhattacharya’s papers are divided into three sections: Modes of Approximation, Large Times for Markov Processes, and Stochastic Foundations in Applied Sciences. The accompanyin...
The Fascination of Probability, Statistics and their Applications
Collecting together twenty-three self-contained articles, this volume presents the current research of a number of renowned scientists in both probability theory and statistics as well as their various applications in economics, finance, the physics of wind-blown sand, queueing systems, risk assessment, turbulence and other areas. The contributions are dedicated to and inspired by the research of Ole E. Barndorff-Nielsen who, since the early 1960s, has been and continues to be a very active and influential researcher working on a wide range of important problems. The topics covered include, but are not limited to, econometrics, exponential families, Lévy processes and infinitely divisible distributions, limit theory, mathematical finance, random matrices, risk assessment, statistical inference for stochastic processes, stochastic analysis and optimal control, time series, and turbulence. The book will be of interest to researchers and graduate students in probability, statistics and their applications.
The Role and Importance of Mathematics in Innovation
This book is a collection of papers presented at the “Forum Math-for-Industry 2015” for which the unifying theme was “The Role and Importance of Mathematics in Innovation”, held at the Institute of Mathematics for Industry, Kyushu University, October 26–30, 2015. The theme highlights two key roles that mathematics plays in supporting innovation in science, technology, and daily life, namely, needs-based and idea-based. For the former, mathematics assists with sorting through the possibilities and putting matters on a more rigorous foundation, and for the latter, mathematical models of the possible implementations play a key role. The book gives excellent examples of how mathematics assists with stimulating innovation and, thereby, highlights the importance and relevance of the concept Mathematics_FOR_Industry. The contents of this volume address productive and successful interaction between industry and mathematicians, as well as the cross-fertilization and collaboration that result when mathematics is involved with the advancement of science and technology.
Agriculture as a Metaphor for Creativity in All Human Endeavors
This book is a collection of papers presented at the 'Forum "Math-for-Industry" 2016 ' (FMfl2016), held at Queensland University of Technology, Brisbane, Australia, on November 21–23, 2016. The theme for this unique and important event was “Agriculture as a Metaphor for Creativity in All Human Endeavors”, and it brought together leading international mathematicians and active researchers from universities and industry to discuss current challenging topics and to promote interactive collaborations between mathematics and industry. The success of agricultural practice relies fundamentally on its interconnections with and dependence on biology and the environment. Both play essential roles, including the biological adaption to cope with environmental challenges of biotic and abiotic stress and global warming. The book highlights the development of mathematics within this framework that successful agricultural practice depends upon and exploits.
Advanced Modelling in Mathematical Finance
This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.
Introduction to Multivariate Analysis
Select the Optimal Model for Interpreting Multivariate Data Introduction to Multivariate Analysis: Linear and Nonlinear Modeling shows how multivariate analysis is widely used for extracting useful information and patterns from multivariate data and for understanding the structure of random phenomena. Along with the basic concepts of various procedures in traditional multivariate analysis, the book covers nonlinear techniques for clarifying phenomena behind observed multivariate data. It primarily focuses on regression modeling, classification and discrimination, dimension reduction, and clustering. The text thoroughly explains the concepts and derivations of the AIC, BIC, and related criter...
High-Frequency Statistics with Asynchronous and Irregular Data
Ole Martin extends well-established techniques for the analysis of high-frequency data based on regular observations to the more general setting of asynchronous and irregular observations. Such methods are much needed in practice as real data usually comes in irregular form. In the theoretical part he develops laws of large numbers and central limit theorems as well as a new bootstrap procedure to assess asymptotic laws. The author then applies the theoretical results to estimate the quadratic covariation and to construct tests for the presence of common jumps. The simulation results show that in finite samples his methods despite the much more complex setting perform comparably well as methods based on regular data. About the Author: Dr. Ole Martin completed his PhD at the Kiel University (CAU), Germany. His research focuses on high-frequency statistics for semimartingales with the aim to develop methods based on irregularly observed data.
Time Series Modeling for Analysis and Control
This book presents multivariate time series methods for the analysis and optimal control of feedback systems. Although ships’ autopilot systems are considered through the entire book, the methods set forth in this book can be applied to many other complicated, large, or noisy feedback control systems for which it is difficult to derive a model of the entire system based on theory in that subject area. The basic models used in this method are the multivariate autoregressive model with exogenous variables (ARX) model and the radial bases function net-type coefficients ARX model. The noise contribution analysis can then be performed through the estimated autoregressive (AR) model and various ...
Statistical Sciences and Data Analysis
No detailed description available for "Statistical Sciences and Data Analysis".
Market Microstructure
The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
